Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

under-identification test for instrumental var #474

Open
StarryCatte opened this issue Feb 22, 2024 · 1 comment
Open

under-identification test for instrumental var #474

StarryCatte opened this issue Feb 22, 2024 · 1 comment

Comments

@StarryCatte
Copy link

I'm now using feols() to estimate a regression with instrumental variable.
The number of instrumental variable is less than the number of endogenous variable.
How can I test whether the equation is under identified, for example, using Kleibergen-Paap rk LM statistics?

@kylebutts
Copy link
Contributor

Are you misspeaking here? A regression with fewer instrumental variables than endogenous variables should not be able to produce a coefficient estimate. The testing procedure is for the over-identified case where the number of instruments is larger than the number of endogenous variables

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
None yet
Projects
None yet
Development

No branches or pull requests

2 participants